Ewma by Iteration

Forums Templates Ewma by Iteration

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    • #104

      Exponentially-weighted moving average (Ewma) solved using iteration. Given scalar ‘alpha’ (between 0 and 1) and vector ‘X’, this template solves for L, such that:

      L(t) = (alpha*X) + (1-alpha)*L(t-1) L(1) = X(1)

      It uses iteration if alpha is closer to 1.

      Author: Paul Pratt

      Download: Ewma-By-Iteration.dsk

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